2017年推送过混频数据模型(Mixed Frequency)。今天推送下该模型两个有用的个人网站。Kaiji Motegi在其个人网站贴出了MFVAR模型的MATLAB代码,计算Eric Ghysels(2012)文章中的脉冲响应函数和方差分解,也可以计算MFVAR模型的Granger检验。 Eric Ghysels,Jonathan B.Hill and Kaiji Motegi(2016),Testing for Granger causality with mixed frequency data。 Eric Ghysels(2012)Mixed Frequency Vector Autoregressive Models。 http://www2./~motegi/Matlab_Codes.html 另外,KaijiMotegi的合作者,MF模型的大佬,Eric Chysels在其个人网站贴出他发表的MF系列文章的运行代码,以及该模型的有用链接。Ghysels,Santa-Clara, and Valkanov (2002), Ghysels, Santa-Clara, and Valkanov (2006) and Andreou, Ghysels, and Kourtellos (2008a) using so called MIDAS, meaning Mi(xed)Da(ta) S(ampling), regressions。 http://eghysels.web./ |
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